Research

WORKING PAPERS AND FORTHCOMING:


SELECTED PUBLISHED PAPERS:

Nonstandard Errors, with 342 co-authors, Journal of Finance, 79, 2339-2390, 2024

Currency Risk Premiums Redux, with Federico Nucera and Gabriele Zinna, Review of Financial Studies, 37, 356-408, 2024

Risks and Risk Premia in the US Treasury Market, with Junye Li and Gabriele Zinna, Journal of Economic Dynamics and Control, 158, 104788, 2024

Exchange Rates and Sovereign Risk, with Pasquale Della Corte, Maik Schmeling and Christian Wagner, Management Science, 68, 5591-5617, 2022

Foreign Exchange Volume, with Giovanni Cespa, Antonio Gargano and Steven J. Riddiough, Review of Financial Studies, 35, 2386-2427, 2022

Business Cycles and Currency Returns, with Riccardo Colacito and Steven J. Riddiough, Journal of Financial Economics, 137, 659-678, 2020 (Internet Appendix)

Risky Bank Guarantees, with Taneli Makinen and Gabriele Zinna, Journal of Financial Economics, 136, 490-522, 2020

When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries, American Economic Journal: Macroeconomics, 11, 132-156, 2019 - with Marcel Fratzscher, Oliver Gloede, Lukas Menkhoff and Tobias Stöhr 

Currency Value, Review of Financial Studies, 30, 416-441, 2017 - with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf (Internet Appendix)

Currency Premia and Global Imbalances, Review of Financial Studies, 29, 2161 -2193, 2016 - with Pasquale Della Corte and Steven J. Riddiough

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades, Journal of Finance, 71, 601-634, 2016 – with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf

What Do Stock Markets Tell Us About Exchange Rates? Review of Finance, 20, 1045-1080, 2016 - with Gino Cenedese, Richard Payne and Giorgio Valente

Volatility Risk Premia and Exchange Rate Predictability, Journal of Financial Economics, 120, 21-40, 2016 - with Pasquale Della Corte and Tarun Ramadorai

The Scapegoat Theory of Exchange Rates: The First Tests, Journal of Monetary Economics, 70, 1-21, 2015 - with Marcel Fratzscher, Dagfinn Rime and Gabriele Zinna

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective, Journal of Money, Credit and Banking, 46, 267-292, 2014 - with Maik Schmeling

Currency Momentum Strategies, Journal of Financial Economics, 106, 620-684, 2012 - with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf

Properties of Foreign Exchange Risk Premia, Journal of Financial Economics, 105, 279-310, 2012 - with Paul Schneider and Christian Wagner

Carry Trades and Global Foreign Exchange Volatility, Journal of Finance, 67, 681-718, 2012 - with Lukas Menkhoff, Maik Schmeling and Andreas Schrimpf

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? Review of Economics and Statistics, 94, 100-115, 2012 - with Pasquale Della Corte and Giulia Sestieri

Spot and Forward Volatility in Foreign Exchange, Journal of Financial Economics, 100, 496-513, 2011 - with Pasquale Della Corte and Ilias Tsiakas

Asset Prices, Exchange Rates and the Current Account, European Economic Review, 54, 643-658, 2010 - with Marcel Fratzscher and Luciana Juvenal

Exchange Rates, Order Flow and Macroeconomic Information, Journal of International Economics, 80, 72-88, 2010 - with Dagfinn Rime and Elvira Sojli

The Feeble Link Between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?, Journal of Money, Credit and Banking, 41, 437-442, 2009 - with Elvira Sojli

Exchange Rates and Fundamentals: Footloose or Evolving Relationship?, Journal of the European Economic Association, 7, 786-830, 2009 - with Giorgio Valente

An Economic Evaluation of Empirical Exchange Rate Models, Review of Financial Studies, 22, 3491 -3530, 2009 - with Pasquale Della Corte and Ilias Tsiakas

Arbitrage in the Foreign Exchange Market: Turning on the Microscope, Journal of International Economics, 76, 237-253, 2008 - with Q. F. Akram and Dagfinn Rime

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value, Journal of Financial Economics, 89, 158-174, 2008 - with Pasquale Della Corte and Daniel L. Thornton

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, Journal of Financial and Quantitative Analysis, 42, 81-100, 2007 - with Daniel L. Thornton and Giorgio Valente

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, Review of Finance, 10, 443-482, 2006 - with Hyginus Leon and Giorgio Valente

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, Journal of Business, 79, 1193-1225, 2006 - with Richard H. Clarida, Mark P. Taylor and Giorgio Valente

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability, Journal of International Economics, 66, 325-348, 2005 - with Abhay Abhyankar and Giorgio Valente

Federal Funds Rate Prediction [28KB], Journal of Money, Credit and Banking, 37, 449-471, 2005 - with Daniel L. Thornton and Giorgio Valente

Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers, Journal of Applied Econometrics, 20, 345-376, 2005 - with Giorgio Valente

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond, Journal of International Economics, 60, 61-83, 2003 - with Richard H. Clarida, Mark P. Taylor and Giorgio Valente

Nonlinear Equilibrium Correction in US Real Money Balances, 1869-1997, Journal of Money, Credit and Banking, 35, 787-799, 2003 - with Mark P. Taylor and David A. Peel

Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?, Journal of Economic Literature, 39, pp. 839-868, 2001 - with Mark P. Taylor

Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation, Economica, 68, pp. 401-426, 2001

Nonlinear Mean-Reversion in Real Exchange Rates: Toward A Solution to the Purchasing Power Parity Puzzles, International Economic Review, 42, pp. 1015-1042, 2001 - with Mark P. Taylor and David A. Peel

Hot Money, Accounting Labels and the Permanence of Capital Flows to Developing Countries: An Empirical Investigation, Journal of Development Economics, 59, 337-364, 1999 - with Mark P. Taylor

The Behavior of Real Exchange Rates During the Post-Bretton Woods Period, Journal of International Economics, 46, 281-312, 1998 - with Mark P. Taylor